Skewness Persistence in Common Stock Returns

J. Clay Singleton, John R. Wingender

Research output: Contribution to journalArticle

84 Citations (Scopus)

Abstract

Recent empirical studies have found ex post common stock returns to be consistently positively skewed. The frequency of positive skewness in this study is found to be relatively stable over varying time periods from 1961 to 1980. However, the skewness of individual stocks and portfolios of stocks does not persist across different time periods. Positively-skewed equity portfolios in one period are not likely to be positively skewed in the next time period. Past positively-skewed returns do not predict future positively-skewed returns.

Original languageEnglish
Pages (from-to)335-341
Number of pages7
JournalJournal of Financial and Quantitative Analysis
Volume21
Issue number3
DOIs
StatePublished - 1986

Fingerprint

Stock returns
Persistence
Skewness
Time-varying
Empirical study
Equity

All Science Journal Classification (ASJC) codes

  • Finance
  • Accounting
  • Economics and Econometrics

Cite this

Skewness Persistence in Common Stock Returns. / Singleton, J. Clay; Wingender, John R.

In: Journal of Financial and Quantitative Analysis, Vol. 21, No. 3, 1986, p. 335-341.

Research output: Contribution to journalArticle

@article{5c2e6b33fa9f45f19201752ce0862492,
title = "Skewness Persistence in Common Stock Returns",
abstract = "Recent empirical studies have found ex post common stock returns to be consistently positively skewed. The frequency of positive skewness in this study is found to be relatively stable over varying time periods from 1961 to 1980. However, the skewness of individual stocks and portfolios of stocks does not persist across different time periods. Positively-skewed equity portfolios in one period are not likely to be positively skewed in the next time period. Past positively-skewed returns do not predict future positively-skewed returns.",
author = "Singleton, {J. Clay} and Wingender, {John R.}",
year = "1986",
doi = "10.2307/2331046",
language = "English",
volume = "21",
pages = "335--341",
journal = "Journal of Financial and Quantitative Analysis",
issn = "0022-1090",
publisher = "Cambridge University Press",
number = "3",

}

TY - JOUR

T1 - Skewness Persistence in Common Stock Returns

AU - Singleton, J. Clay

AU - Wingender, John R.

PY - 1986

Y1 - 1986

N2 - Recent empirical studies have found ex post common stock returns to be consistently positively skewed. The frequency of positive skewness in this study is found to be relatively stable over varying time periods from 1961 to 1980. However, the skewness of individual stocks and portfolios of stocks does not persist across different time periods. Positively-skewed equity portfolios in one period are not likely to be positively skewed in the next time period. Past positively-skewed returns do not predict future positively-skewed returns.

AB - Recent empirical studies have found ex post common stock returns to be consistently positively skewed. The frequency of positive skewness in this study is found to be relatively stable over varying time periods from 1961 to 1980. However, the skewness of individual stocks and portfolios of stocks does not persist across different time periods. Positively-skewed equity portfolios in one period are not likely to be positively skewed in the next time period. Past positively-skewed returns do not predict future positively-skewed returns.

UR - http://www.scopus.com/inward/record.url?scp=84974269804&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=84974269804&partnerID=8YFLogxK

U2 - 10.2307/2331046

DO - 10.2307/2331046

M3 - Article

VL - 21

SP - 335

EP - 341

JO - Journal of Financial and Quantitative Analysis

JF - Journal of Financial and Quantitative Analysis

SN - 0022-1090

IS - 3

ER -